Some photographers are leery of the "Format" command and stick with simply erasing their memory cards. But formatting is actually better for maintaing the health of your SD or CF Flash memory. The key is a fresh directory and the elimination of cruft data bits.
The pictures themselves are just as recoverable (in an emergency) when you format as when you erase. So there really isn't a compelling reason to use "Erase All" instead.
In this short video for lynda.com, I explain the virtues of a freshly formatted card.
Recover Photos from Memory Cards
What should you do (and more importantly not do) if something goes wrong with your camera's memory card? Help is on the way! Check out my lynda.com title, Recovering Photos from Memory Cards, and save those valuable pictures.